Strategies · Core
Dual Momentum
Combine relative momentum (which asset) with absolute momentum (whether to be in cash) — Antonacci’s two-filter TAA.
Definition
Among a small set (e.g. US vs international equities), pick the relative winner; if that winner’s own 12-month return is negative, hold bills instead. Relative chooses the horse; absolute allows a risk-off state.
Why it matters
It fixes the ‘rotation into the least-bad loser’ failure of pure relative momentum. It is late by design.
Case
2008: absolute filter dumps equities. 2009: it is late. 2011: a false dump. The cash state is the product.
How to read it
Universe size (two names vs ten), lookback, and the bill substitute. A 15-asset dual mom is a different animal.
Key papers
Landmark references with real publisher or arXiv links — not token-overlap noise.
- Dual Momentum InvestingAntonacci · 2014 · SSRN / book lineageRelative plus absolute momentum.
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